The first word of power will be obtained when you kill the dragon by the west tower outside of Whiterun during Dragon Rising. After you've killed the dragon and absorbed its soul, you will be granted the ability to unlock your first word of power. The second will come after you answer the summon of the Greybeards, ancient masters of The Voice. You will then be sent on a quest to complete your training in the way of the voice. Upon returning, you will be granted the third word of power in the shout and the ability to use it.

You can also find a Shout with three words in the game. You must use three Dragon Souls to unlock each word in the Shout. Remember to hold down the Shout to use all three words. See Shouts for a full list of shouts and their word wall locations.